Yep, I just did it. But, I didn't try to listen. (I usually leave my speakers turned off.) If you have "Message with sound" set, then doesn't it show you which sound it's set to, and give you a pop-up to choose another one? ("Glass" is a choice on mine.) Are you running with Leopard or Tiger?
I found the iCal sounds in System>Library>Sounds. I was thinking to try to change the name of "Glass" to make it first in the pop-up list, and thus the default sound for all new Events. I was denied permission to change it. But, if you can figure that out, maybe...